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An analysis of split orders in an index options market

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  • Joon Chae
  • Eun Jung Lee

Abstract

This study presents the empirical evidence of Kyle (1985) that informed traders spread their orders over time to camouflage their information. Our proprietary data, which contain account numbers in the Korean options market, identify whether traders break up his or her order (split orders) or not. We show that split orders are associated with a larger proportion of cumulative price change than nonsplit orders are. Furthermore, nonsplit orders, even small- or medium-size ones, cause much smaller cumulative price changes. These results improve upon the tests of Barclay and Warner (1993).

Suggested Citation

  • Joon Chae & Eun Jung Lee, 2011. "An analysis of split orders in an index options market," Applied Economics Letters, Taylor & Francis Journals, vol. 18(5), pages 473-477.
  • Handle: RePEc:taf:apeclt:v:18:y:2011:i:5:p:473-477
    DOI: 10.1080/13504851003724200
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    1. repec:mes:emfitr:v:52:y:2016:i:10:p:2335-2347 is not listed on IDEAS
    2. Han, Heejoon & Kutan, Ali M. & Ryu, Doojin, 2015. "Effects of the US stock market return and volatility on the VKOSPI," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy (IfW), vol. 9, pages 1-34.
    3. Han, Heejoon & Kutan, Ali M. & Ryu, Doojin, 2015. "Modeling and predicting the market volatility index: The case of VKOSPI," Economics Discussion Papers 2015-7, Kiel Institute for the World Economy (IfW).

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